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Prévision du PIB par la courbe des taux : une constatation empirique en quête de théorie

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  • Eric Dubois
  • Didier Janci

Abstract

[ger] Vorhersage des BIP anhand der Zinsstrukturkurve: eine empirische Feststellung, die einer Théorie bedarf, . von Eric Dubois und Didier Janci.. . Für zahlreiche Länder gibt der Abstand zwischen kurzfristigen und langfristigen Zinssätzen offensichtlich Aufschluß über die künftigeEntwicklung der Wirtschaftstätigkeit. Mehrere Modelle, von denen keines völlig zufriedenstellte oder empirisch bestätigt werden konnte, ermöghichen eine theoretische Rechtfertigung für eine solche Beziehung. Diese Modelle beruhen entweder auf der intertemporalen Konsumglättung oder auf der Entstehung der wâhrungspolitischen Antizipationen der Wirtschaftssubjekte oder aber auch auf den Auswirkungen der Währungspolitik auf die Wirtschaftstätigkeit über möglicherweise das Kreditangebot aer Banken. . Trotz der theoretischen Schwierigkeiten, eine völlig zufriedenstellende Rechtfertigung für eine solche Beziehung zu finden, ist deren empirische Haltbarkeit jedoch überaus groß. Bei den französischen Daten enthält der Abstand zwischen den dreimonatigen Geldmarktzinsen und den zehnjährigen Anleihezinsen somit ein Jahr im voraus eine einzigartige Information über die künftige Entwicklung der Wirtschaftstätigkeit im Verhältnis zu einer Gesamtheit von a priori relevanten ökonomischen Variablen. Diese Information kann zudem durch die Hinzunahme einiger dieser Variablen ergänzt werden, um einen überaus leistungsfähigen Leitindikator der Wirtschaftstätigkeit zu erhalten. [eng] A GDP Forecast Using the Rate Curve: An Empirical Observation in Search of a Theory, . by Eric Dubois and Didier Janci.. . For many countries, the deviation between short-term interest rates and long-term interest rates would appear to contain information concerning future economic growth. Several models provide a theoretical justification for such a relation, but none of them is totally satisfactory or empirically sound. These models are based either on the intertemporal smoothing of consumption or on the formation of expectations regarding agents' monetary policy, i.e. on the effects of monetary policy on economic activity, possibly via the banks' credit supply. . In spite of the theoretical problems involved with finding a completely satisfactory justification for this, the relation is highly sound from an empirical point of view. French data thus show that the deviation between the three-month money rate and the ten-year bond rate definitely contains, one year in advance, original information on future economic growth in relation to a set of normally pertinent economic variables. . Moreover, this information can be rounded out by the addition of some of these variables to construct an advanced and extremely high-quality activity indicator. [fre] Prévision du PIB par la courbe des taux : une constatation empirique en quête de théorie, . par Éric Dubois , Didier Janci.. . Pour de nombreux pays, l'écart entre taux d'intérêt court et taux d'intérêt long semble contenir de l'information concernant l'évolution future de l'activité. Plusieurs modèles dont aucun n'était totalement satisfaisant ou validé empiriquement, permettent de donner une justification théorique à une telle relation. Ces modèles sont basés soit sur le lissage inter temporel de la consommation, soit sur la formation des anticipations de politique monétaire des agents, où sur les effets de la politique monétaire sur l'activité via éventuellement l'offre de crédit des banques. . Malgré les difficultés théoriques pour en trouver une justification complètement satisfaisante la robustesse empirique de cette relation est très forte. Ainsi sur données françaises l'écart entre le taux monétaire à trois mois et le taux obligatoire à 10 ans contient bien, un an à l'avance, une information originale sur l'évolution future de l'activité par rapport à un ensemble de variables économiques a priori pertinentes. . De plus cette information peut être complétée par l'ajout de certaines de ces variables pour construire un indicateur avancé de l'activité de très bonne qualité. [spa] Previsión del PIB por la curva de los tipos de interés : una constatación empírica en pos de una teoría, . por Eric Dubois y Didier Janci.. . Para un gran numéro de países, la diferencia entre el tipo de interés corto y el tipo de interés largo parece contener elementos de información . relativos a la evolución nitura de la actividad. Varios modelos, de los cuales ninguno ha llegado a ser totahnente satisfactorio o convalidado . empíricamente, permiten dar una justificacion teórica a semejante relación. Estos modefos se fundan, ya sea en el alisado intertemporal . del consumo, o bien, en la formación de anticipaciones de política monetaria de los agentes económicos, e incluso, sobre los efectos de la . política monetaria respecto a la actividad vía, llegado el caso, la oferta de crédito de los bancos. . Apesar de las dificultades teóricas para encontrar una justificación completamente satisfactoria, la solidez empírica de semejante relación . es sumamente fuerte. Así, tomando como base datos franceses la diferencia entre el tipo de interés monetario a très meses y el tipo de . interés obligatario a diez años contiene efectiyamente, con un año de anticipación, una información original acerca de la evolución futura . de la actividad respecto a un conjunto de variables económicos que, a priori, son pertinentes. . Además, esta información se puede completar, por la integración de algunas de estas variables, para elaborar un indicador avanzado de la . actividad, de muy buena calidad.

Suggested Citation

  • Eric Dubois & Didier Janci, 1994. "Prévision du PIB par la courbe des taux : une constatation empirique en quête de théorie," Économie et Prévision, Programme National Persée, vol. 112(1), pages 69-85.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1994_num_112_1_5653
    DOI: 10.3406/ecop.1994.5653
    Note: DOI:10.3406/ecop.1994.5653
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    References listed on IDEAS

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    1. Hansen, Lars Peter & Singleton, Kenneth J, 1983. "Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 249-265, April.
    2. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Working Papers 1993/019, International Monetary Fund.
    3. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
    4. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    5. Douglas W. Diamond, 1984. "Financial Intermediation and Delegated Monitoring," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 51(3), pages 393-414.
    6. Olivier Paquier, 1994. "Les effets de la politique monétaire sur l'activité passent-ils par le canal du crédit ?," Revue Française d'Économie, Programme National Persée, vol. 9(2), pages 71-104.
    7. Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
    8. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    9. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409, National Bureau of Economic Research, Inc.
    10. Zuliu Hu, 1993. "The Yield Curve and Real Activity," IMF Staff Papers, Palgrave Macmillan, vol. 40(4), pages 781-806, December.
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    Cited by:

    1. Jean-Paul Pollin & Raphaëlle Bellando & Claude Jessua, 1996. "Le canal du crédit en France depuis la déréglementation financière : quelques tests exploratoires," Revue Économique, Programme National Persée, vol. 47(3), pages 731-743.
    2. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Taux d'intérêt, spreads, comportement bancaire : les effets sur l'activité réelle," Revue Économique, Programme National Persée, vol. 46(3), pages 625-634.
    3. Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.

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